[Quantlib-users] Calibrating HW one-factor model parameters to Normal Swaption vols

[Sumit S. <su...@mo...>]

Hi,
 I am following the example in python cookbook to calibrate the HW 1 factor
model to market supplied Normal vols

  The cookbook specifically mentions in Chapter 17:

[image: image.png]
Perhaps that's why my code is failing (see attached jupyter notebook).

Any pointers to how I can fix this issue will be greatly appreciated...

I guess the usual approximation:
normalVol ~ price * log-normalvol

also won't work as the rates are -ve ?

Regards
Sumit

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